You won't get that through Windows Update. Microsoft provided an update back in 2009 which didn't replace the whole thing, but as far as I know fixes the vulnerability. You need to do the whole thing to stop PSI bugging you.

Thanks for your reply. The download you linked to (Microsoft Visual C++ 2005 Service Pack 1 Redistributable) is already on my hard-disk. De-installed from add/remove program and did a new install of this Service Pack 1.
With success! PSI now shows the MS Visual C++ 2005 Redistr. Package as secure.
Also checked the path: C:\Program Files\Common Files\Microsoft Shared\VC where msdia80.dll now shows up as version 8.0.50727.4053
In fact the PSI was right. Don't understand why I had an outdated version on my machine.